How do I get a very soft lighting effect in the Game Engine?
Soft shadows like that are hard to calculate with standard approaches.
The only out-of-the-box realtime solution i know for Blender is using a sun- or spot-lamp with a low-resolution variance shadow map in GLSL shading mode. Note that this technique might "detatch" the shadow from an object.
Lamp settings:

Result:


If you do not need real-time solutions you can also bake all the lighting of the scene into textures. Then you have the full rendering capability of Blender at your hand and can use lamps with soft shadows. But you will only be able to apply this effect to static objects in your scene. You would probably still have to combine baked shadows with the variance shadow map approach for your characters.